Related papers: Trading constraints in continuous-time Kyle models
We consider a Lurie system obtained via a connection of a linear time-invariant system and a nonlinear feedback function. Such systems often have more than a single equilibrium and are thus not contractive with respect to any norm. We…
We consider the pricing of derivatives in a setting with trading restrictions, but without any probabilistic assumptions on the underlying model, in discrete and continuous time. In particular, we assume that European put or call options…
We consider output trajectory tracking for a class of uncertain nonlinear systems whose internal dynamics may be modelled by infinite-dimensional systems which are bounded-input, bounded-output stable. We describe under which conditions…
We propose new results for the existence and uniqueness of a general nonparametric and nonseparable competitive equilibrium with substitutes. These results ensure the invertibility of a general competitive system. The existing literature…
Cooperation through repetition is an important theme in game theory. In this regard, various celebrated ``folk theorems'' have been proposed for repeated games in increasingly more complex environments. There has, however, been insufficient…
We consider a sequential decision model over multi-tier supply chain networks and show that in particular, for series parallel networks, there is a unique equilibrium. We provide a linear time algorithm to compute the equilibrium and study…
A new definition of continuous-time equilibrium controls is introduced. As opposed to the standard definition, which involves a derivative-type operation, the new definition parallels how a discrete-time equilibrium is defined, and allows…
This paper presents an equilibrium model of dynamic trading, learning, and pricing by strategic investors with trading targets and price impact. Since trading targets are private, rebalancers and liquidity providers filter the child order…
We consider a broker who has to place a large order which consumes a sizable part of average daily trading volume. The broker's aim is thus to minimize execution costs he incurs from the adverse impact of his trades on market prices. By…
We establish the existence of an optimal control for a general class of singular control problems with state constraints. The proof uses weak convergence arguments and a time rescaling technique. The existence of optimal controls for…
According to recent results, convergence in a prespecified or prescribed finite time can be achieved under extreme model uncertainty if control is applied continuously over time. This paper shows that this extreme amount of uncertainty…
We define the concept of good trade execution and we construct explicit adapted good trade execution strategies in the framework of linear temporary market impact. Good trade execution strategies are dynamic, in the sense that they react to…
A fluid queuing network constitutes one of the simplest models in which to study flow dynamics over a network. In this model we have a single source-sink pair and each link has a per-time-unit capacity and a transit time. A dynamic…
The present work extends known finite-dimensional constrained optimal control realizations to the realm of well-posed regular linear infinite-dimensional systems modelled by partial differential equations. The structure-preserving…
In this paper we propose a model predictive control scheme for constrained fractional-order discrete-time systems. We prove that all constraints are satisfied at all time instants and we prescribe conditions for the origin to be an…
We prove the existence of an equilibrium in a model with transaction costs and price impact where two agents are incentivized to trade towards a target. The two types of frictions -- price impact and transaction costs -- lead the agents to…
Recent developments in data-driven control have revived interest in the behavioral approach to systems theory, where systems are defined as sets of trajectories rather than being described by a specific model or representation. However,…
We consider a continuous time stochastic optimal control problem under both equality and inequality constraints on the expectation of some functionals of the controlled process. Under a qualification condition, we show that the problem is…
The limit of small entropy production is reached in relaxing systems long after preparation, and in stationary driven systems in the limit of small driving power. Surprisingly, for extended systems this limit is not in general the…
This manuscript contains technical results related to a particular approach for the design of Model Predictive Control (MPC) laws. The approach, named "generalized" terminal state constraint, induces the recursive feasibility of the…